VaR-Optimal Risk Management in Regime-Switching Jump-Diffusion Models

Journal of Mathematical Finance ◽

10.4236/jmf.2013.31009 ◽

2013 ◽

Vol 03 (01) ◽

pp. 103-109 ◽

Author(s):

Alessandro Ramponi

Keyword(s):

Risk Management ◽

Regime Switching ◽

Jump Diffusion ◽

Diffusion Models

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Numerical Schemes for Pricing Asian Options Under State-Dependent Regime-Switching Jump-Diffusion Models

SSRN Electronic Journal ◽

10.2139/ssrn.2571507 ◽

2015 ◽

Author(s):

Duy-Minh Dang ◽

Duy Nguyen ◽

Granville Sewell

Keyword(s):

Regime Switching ◽

Jump Diffusion ◽

Diffusion Models ◽

Asian Options ◽

Numerical Schemes ◽

State Dependent

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Quantile hedging and risk management of contracts for diffusion and jump-diffusion models

Equity-Linked Life Insurance ◽

10.1201/9781315118505-4 ◽

2017 ◽

pp. 77-106

Author(s):

Alexander Melnikov ◽

Amir Nosrati

Keyword(s):

Risk Management ◽

Jump Diffusion ◽

Diffusion Models ◽

Quantile Hedging

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An IMEX‐BDF2 compact scheme for pricing options under regime‐switching jump‐diffusion models

Mathematical Methods in the Applied Sciences ◽

10.1002/mma.5539 ◽

2019 ◽

Vol 42 (8) ◽

pp. 2646-2663 ◽

Author(s):

Yingzi Chen ◽

Aiguo Xiao ◽

Wansheng Wang

Keyword(s):

Regime Switching ◽

Jump Diffusion ◽

Diffusion Models ◽

Compact Scheme ◽

Pricing Options

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A front-fixing finite element method for pricing American options under regime-switching jump-diffusion models

Computational and Applied Mathematics ◽

10.1007/s40314-017-0540-z ◽

2017 ◽

Vol 37 (3) ◽

pp. 3691-3707 ◽

Author(s):

S. Heidari ◽

H. Azari

Keyword(s):

Finite Element Method ◽

Finite Element ◽

Regime Switching ◽

American Options ◽

Jump Diffusion ◽

Diffusion Models ◽

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Option pricing under regime-switching jump–diffusion models

Journal of Computational and Applied Mathematics ◽

10.1016/j.cam.2013.07.046 ◽

2014 ◽

Vol 256 ◽

pp. 152-167 ◽

Author(s):

Massimo Costabile ◽

Arturo Leccadito ◽

Ivar Massabó ◽

Emilio Russo

Keyword(s):

Option Pricing ◽

Regime Switching ◽

Jump Diffusion ◽

Diffusion Models

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A tree approach to options pricing under regime-switching jump diffusion models

International Journal of Computer Mathematics ◽

10.1080/00207160.2015.1073266 ◽

2015 ◽

Vol 92 (12) ◽

pp. 2575-2595 ◽

Author(s):

R.H. Liu ◽

D. Nguyen

Keyword(s):

Regime Switching ◽

Jump Diffusion ◽

Diffusion Models ◽

Options Pricing ◽

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Optimal reinsurance strategies in regime-switching jump diffusion models: Stochastic differential game formulation and numerical methods

Insurance Mathematics and Economics ◽

10.1016/j.insmatheco.2013.09.015 ◽

2013 ◽

Vol 53 (3) ◽

pp. 733-746 ◽

Author(s):

Zhuo Jin ◽

G. Yin ◽

Fuke Wu

Keyword(s):

Numerical Methods ◽

Differential Game ◽

Regime Switching ◽

Jump Diffusion ◽

Diffusion Models ◽

Stochastic Differential Game ◽

Optimal Reinsurance

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Second-order IMEX scheme for a system of partial integro-differential equations from Asian option pricing under regime-switching jump-diffusion models

Numerical Algorithms ◽

10.1007/s11075-021-01174-x ◽

2021 ◽

Author(s):

Yong Chen

Keyword(s):

Differential Equations ◽

Option Pricing ◽

Regime Switching ◽

Jump Diffusion ◽

Diffusion Models ◽

Second Order ◽

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Fitted Finite Volume Method for Pricing American Options under Regime-Switching Jump-Diffusion Models Based on Penalty Method

Advances in Applied Mathematics and Mechanics ◽

10.4208/aamm.oa-2019-0017 ◽

2020 ◽

Vol 12 (3) ◽

pp. 748-773

Author(s):

Xiaoting Gan

Keyword(s):

Finite Volume Method ◽

Finite Volume ◽

Regime Switching ◽

Penalty Method ◽

American Options ◽

Jump Diffusion ◽

Diffusion Models ◽

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High-Order Methods for Exotic Options and Greeks Under Regime-Switching Jump-Diffusion Models

Numerical Mathematics Theory Methods and Applications ◽

10.4208/nmtma.oa-2019-0119 ◽

2020 ◽

Vol 13 (2) ◽

pp. 497-515

Author(s):

global sci

Keyword(s):

Regime Switching ◽

Jump Diffusion ◽

Diffusion Models ◽

Exotic Options ◽

High Order Methods

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